provide transparent pricing for interest rate and mortality risk, the construction of optimally immunized bond portfolios and … mortality dependent bequest benefits payable on death …

Continuous-time affine mortality models are useful in the analysis of age-cohort mortality rates as they yield a closed …-form expression for survival curves which are consistent with the dynamics of latent factors driving mortality and are well-suited for … finance and insurance applications. We extend and improve these mortality models by introducing age dependence of mortality …

techniques developed in the financial markets, particularly for mortgages and credit risk. A model based on Australian mortality …

projected mortality rates. Increasingly attention is being placed on alternative models and, importantly in the financial and … traditional actuarial models for the force of mortality as well as multiple risk factor models. The paper develops a stochastic … longevity model suitable for financial pricing and risk management applications based on Australian population mortality rates …